Abstract:In this work, we establish a comparison principle for stochastic Volterra equations with respect to the initial condition and the drift $b$ applicable to a wide class of Volterra kernels and input curves $g$. Such input curves are allowed to be singular in zero, and appear, e.g., in Markovian lifts for Volterra equations. For completely monotone kernels, our result holds without any further restrictions, while for regular kernels we give a characterisation of the comparison principle. Finally, we show that for not completely monotone kernels such a principle fails unless the drift is monotone. As a side-product of our results, we also complement the literature on the weak existence of continuous nonnegative solutions, which covers the rough Cox-Ingersoll-Ross process with singular initial conditions.
From: Ole Cañadas [view email]
[v1]
Sat, 23 Mar 2024 11:14:35 UTC (32 KB)
[v2]
Thu, 25 Sep 2025 13:43:21 UTC (27 KB)
[v3]
Tue, 30 Jun 2026 09:26:54 UTC (35 KB)
此内容由惯性聚合(RSS阅读器)自动聚合整理，仅供阅读参考。 原文来自 — 版权归原作者所有。